Wanjun Jiang

Guang Hua School of Management, Peking University

Beijing

China

  • Guang Hua School of Management, Peking University

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Does VIX Truly Measure Return Volatility?

Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning, Forthcoming
Number of pages: 35 Posted: 31 Aug 2014 Last Revised: 07 Jul 2020
Victor Chow, Wanjun Jiang and Jingrui Li
West Virginia University - Department of Finance, Guang Hua School of Management, Peking University and Stevens Institute of Technology - School of Business
Downloads 3,482 (5,116)
Citation 9

Abstract:

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Implied Volatility, VIX, Ex-ante Moments

2.

Decomposing the VIX: Implications for the Predictability of Stock Returns

The Financial Review, Forthcoming
Number of pages: 39 Posted: 14 Mar 2016 Last Revised: 19 Aug 2020
Victor Chow, Wanjun Jiang, Bingxin Li and Jingrui Li
West Virginia University - Department of Finance, Guang Hua School of Management, Peking University, West Virginia University and Stevens Institute of Technology - School of Business
Downloads 387 (119,101)

Abstract:

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Polynomial Variation, Quadratic Variation, Variance Risk Premium, Tail Risk Premium, Predictability